I read Chinese and found out much information on a Chinese forum about CEMFI. CEMFI is a very popular program for top Chinese applicants who aren't ready for PhD since all the good aspects you mentioned in your post are still true about this program. Moreover, CEMFI places its top non-Chinese students very well while its top Chinese graduates might face fierce competition from other Chinese so the placement for Chinese students alone doesn't look as impressive, but that doesn't really matter for you if you are not Chinese :)
Apparently even if you want to stay at CEMFI for PhD it's not a bad choice at all. Someone from Urch who knows CEMFI and BGSE told me that if you are interested in macro and you think you are a star in the field then BGSE dominates CEMFI; if you are interested in micro and finance then CEMFI is the choice. I heard that TSE is excellent on micro as well.